Arbitrage Pricing Theory
Estimated risk premiums for taking on risk factors
(1978-1990)
Mrket 6.36
Inflation -.83
Real GNP .49
Exchange rate -.59
Interest rate -.61
Yield spread 5.10%
(r )
Factor Estimated Risk Premium
factor −rf
Arbitrage Pricing Theory
Estimated risk premiums for taking on risk factors
(1978-1990)
Mrket 6.36
Inflation -.83
Real GNP .49
Exchange rate -.59
Interest rate -.61
Yield spread 5.10%
(r )
Factor Estimated Risk Premium
factor −rf